{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Dates in timeseries models"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    }
   },
   "outputs": [],
   "source": [
    "import matplotlib.pyplot as plt\n",
    "import pandas as pd\n",
    "import statsmodels.api as sm\n",
    "from statsmodels.tsa.ar_model import AutoReg, ar_select_order\n",
    "\n",
    "plt.rc(\"figure\", figsize=(16, 8))\n",
    "plt.rc(\"font\", size=14)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Getting started"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    }
   },
   "outputs": [],
   "source": [
    "data = sm.datasets.sunspots.load()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Right now an annual date series must be datetimes at the end of the year."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    }
   },
   "outputs": [],
   "source": [
    "from datetime import datetime\n",
    "\n",
    "dates = pd.date_range(\"1700-1-1\", periods=len(data.endog), freq=\"YE-DEC\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Using Pandas\n",
    "\n",
    "Make a pandas TimeSeries or DataFrame"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    }
   },
   "outputs": [],
   "source": [
    "data.endog.index = dates\n",
    "endog = data.endog\n",
    "endog"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Instantiate the model"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    }
   },
   "outputs": [],
   "source": [
    "selection_res = ar_select_order(endog, 9, old_names=False, seasonal=True, period=11)\n",
    "pandas_ar_res = selection_res.model.fit()"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "Out-of-sample prediction"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    },
    "pycharm": {
     "name": "#%%\n"
    }
   },
   "outputs": [],
   "source": [
    "pred = pandas_ar_res.predict(start=\"2005\", end=\"2027\")\n",
    "print(pred)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": false,
    "jupyter": {
     "outputs_hidden": false
    },
    "pycharm": {
     "name": "#%%\n"
    }
   },
   "outputs": [],
   "source": [
    "fig = pandas_ar_res.plot_predict(start=\"2005\", end=\"2027\")"
   ]
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Python 3 (ipykernel)",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
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